B.4.5 Cash Flow

Table B-12 Cash Flow Table

In Schedule	Out Schedule Dates	In Interest amount	OUT Interest amount	Net Amount
01-MAR-2004	-	100	-	NA
01-JUL-2004	01-Jul-2004	100	50	+50
01-OCT-2004	-	100	-	NA
01-JAN-2005	01-JAN-2005	100	150	-50

Accounting entries passed on 01-MAR-2004

Table B-13 Account Entry

In Schedule	Out Schedule Dates	In Interest amount	OUT Interest amount	Net Amount
-	Role	Description	Tag	Amount
DR	CUSTOMER	Paragraph	DV_IN_INT_ILIQ	100
CR	DV_IN_INT_INC	In leg Income GL	DV_IN_INT_ILIQ	100

Accounting entries passed on 01-JUL-2004 (Net Inflow)

Table B-14 Account Entry

DR/CR	Accounting Role		Amount Tag
-	Role	Description	Tag	Amount
DR	CUSTOMER	Customer	NET_INT_INC	50
CR	DV_IN_INT_INC	Net InterestIncome	NET_INT_INC	50

Accounting entries passed on 01-OCT-2004

Table B-15 Account Entry

DR/Cr	Accounting Role		Amount Tag
-	Role	Description	Tag	Amount
DR	CUSTOMER	Paragraph	DV_IN_INT_ILIQ	100
CR	DV_IN_INT_INC	In leg Income GL	DV_IN_INT_ILIQ	100

Accounting entries passed on 01-JAN-2005 (Net Outflow)

Table B-16 Account Entry

DR/Cr	Accounting Role		Amount Tag
-	Role	Description	Tag	Amount
DR	DV_OUT_INT _EXP	Net InterestExpense	NET_INT_EXP	50
CR	CUSTOMER	Customer	NET_INT_EXP	50

Assume the following parameters for a DV IRS deal

In leg start date -: 01-JAN-2004

Frequency -: Monthly

In leg payment method-: Arrears

Accrual is -: Yes

In leg interest Component-: DV_IN_INT

Out leg start date-: 01-JAN-2004

Frequency-: Monthly

Out leg payment method-: Arrears

Accrual is -: Yes

Out leg interest Component-: DV_OUT_INT

Netting Allowed: Yes

Assume the following cash flows:

Table B-17 Account Entry

DR/CR	Accounting Role		Amount Tag
-	Role	Description	Tag	Amount
DR	DV_OUT_INT _EXP	Net InterestExpense	NET_INT_EXP	50
CR	CUSTOMER	Customer	NET_INT_EXP	50

Assume the following parameters for a DV IRS deal.

In leg start date –: 01-Jan-2004

Frequency -: Quarterly

In leg payment method-: Arrears

Accrual: No

In leg interest Component-: DV_IN_INT

Out leg start date-: 01-Jan-2004

Frequency-: Half yearly

Out leg payment method-: Arrears

Accrual: ‘No’

Out leg interest Component-: DV_OUT_INT

Assume the following cash flows:

Table B-18 Cash Flow

Schedule Dates	IN Interest Amount	OUT Interest	Net Amount
01-FEB-2004	100	60	+40
01-MAR-2004	60	100	-40

Table B-19 Accrual Entries

Accounting Role	Amount Tag	Dr/Cr	Amount
DV_IN_INT_INC	DV_IN_INT_RAC	Cr	100
DV_IN_INT_REC	DV_IN_INT_RAC	Dr	100
DV_OUT_INT_EXP	DV_OUT_INT_PAC	Dr	60
DV_OUT_INT_PAY	DV_OUT_INT_PAC	Cr	60

Accounting entries passed on 01-FEB-2004 (Net inflow)

Table B-20 Accounting Entries

DR/CR	Role	Description	Amount Tag	Amount
DR	NET_-SET_BRIDGE	Net Settlement	DV_IN_INT_ITLQ	100
CR	DV_IN_INT_REC	In leg interestReceivable	DV_IN_INT_ITLQ	100
CR	NET_-SET_BRIDGE	Net Settlement	DV_IN_INT_OTLQ	60
DR	DV_IN_INT_PAY	In leg interest Payable	DV_IN_INT_OTLQ	60
DR	CUSTOMER	CUSTOMER	NET_-SET_INC	40
CR	NET_-SET_BRIDGE	NET_-SET_BRIDGE	NET_-SET_INC	40

Table B-21 Accrual Entries

Accounting Role	Amount Tag	Dr/Cr	Amount
DV_IN_INT_INC	DV_IN_INT_RAC	Cr	60
DV_IN_INT_REC	DV_IN_INT_RAC	Dr	60
DV_OUT_INT_EXP	DV_OUT_INT_PAC	Dr	100
DV_OUT_INT_PAY	DV_OUT_INT_PAC	Cr	100

Accounting entries passed on 01-MAR-2004(Net Outflow)

Table B-22 Accrual Entries

DR/CR	Role	Description	Amount Tag
DR	NET_-SET_BRIDGE	Net Settlement	DV_IN_INT_ ITLQ
CR	DV_IN_INT_REC	In leg interest Receivable	DV_IN_INT_ ITLQ
CR	NET_-SET_BRIDGE	Net Settlement	DV_IN_INT_OTLQ
DR	DV_IN_INT_PAY	In leg interestPayable	DV_IN_INT_OTLQ

Accounting Entry Setup (Settlement on Non Cash basis - Advance Contracts)

Table B-23 Accounting Entry

DR/CR	Accounting Role		Amount Tag
-	Role	Description	Tag	Description
DR	CUSTOMER	Customer	DV_IN_INT_DLIQ	Interestamount(Inleg)
CR	DV_IN_INT _RIA	In leg interest Received inadvance	DV_IN_INT_DLIQ	Interestamount(Inleg)
DR	DV_OUT_INT_PIA	Out leg ExpensePaid in Advance	DV_OUT_INT_DLIQ	Interestamount(Outleg)
CR	CUSTOMER	Customer	DV_OUT_INT_DLIQ	Interestamount(Outleg)
DR	CUSTOMER	Customer	NET_INT_INC	Net Incomeon Accrualbasis
CR	DV_IN_INT_RIA	Net Interestreceived inadvance	NET_INT_INC
DR	DV_OUT_INT_PIA	Net expense paidin advance	NET_INT_EXP	NetExpense onAccrualbasis
CR	CUSTOMER	Net Expense paidin advance	NET_INT_EXP

Accounting Entry Setup (Settlement on Non Cash basis - Arrears Contracts)

Table B-24 Accounting Entries

DR/CR	Accounting Role		Amount Tag
-	Role	Description	Tag	Description
DR	CUSTOMER	Customer	DV_IN_INT_RLIQ	Interestamount(Inleg)
CR	DV_IN_INT_REC	In leg receivableGL	DV_IN_INT_RLIQ	InterestAmount(Inleg)
DR	DV_OUT_INT_PAY	Out leg payableGL	DV_OUT_INT_RLIQ	Interestamount(Outleg)
CR	CUSTOMER	Customer	DV_OUT_INT_RLIQ	Interestamount(Outleg)
DR	CUSTOMER	Customer	NET_INT_INC	Net Incomeon Accrualbasis
CR	DV_IN_INT_REC	Net InterestReceivable	NET_INT_INC
DR	DV_OUT_INT_PAY	Net expense Payable	NET_INT_EXP	Net Expense on Accrualbasis
CR	CUSTOMER	Net Expense	NET_INT_EXP

Accounting Entry Setup (Settlement on Non Cash basis - Advance Contracts-Nettingallowed)

Table B-25 Accounting Entries

DR/CR	Role	Description	Tag	Description
DR	NET_-SET_BRIDGE	Net Settlement	DV_IN_INT_IADL	Interestamount(Inleg)
CR	DV_IN_INT_RI A	In leg interestReceived inadvance	DV_IN_INT_IADL	Interestamount(Inleg)
CR	NET_-SET_BRIDGE	Net Settlement	DV_IN_INT_OADL	Interestamount(Outleg)
DR	DV_IN_INT_PIA	Out leg ExpensePaid in Advance	DV_IN_INT_OADL	Interestamount(Outleg)
DR	CUSTOMER	CUSTOMER	NET_-SET_INC	Net SettlementIncome on Accrual basis
CR	NET_-SET_BRIDGE	Net Settlement	NET_-SET_INC
CR	CUSTOMER	CUSTOMER	NET_SET_-EXP	Net SettlementExpenseon Accrualbasis
DR	NET_-SET_BRIDGE	Net Settlement	NET_SET_-EXP

In the Net liquidation event, the receivable and payable GLs is liquidated into a Net Settlement/ Settlement Bridge GL, ensuring zero balance at the end of liquidation of cash-flows.

Accounting Entry Setup (Settlement on Non Cash basis - Arrears Contracts, Netting allowed)

Table B-26 Arrears

CR/DR	Role	Description	Tag	Description
DR	NET_-SET_BRIDGE	Net Settlement	DV_IN_INT_ ITLQ	Interestamount(Inleg)
CR	DV_IN_INT_REC	In leg interestReceivable	DV_IN_INT_ ITLQ	Interestamount(Inleg)
CR	NET_-SET_BRIDGE	Net Settlement	DV_IN_INT_ OTLQ	Interestamount(Outleg)
DR	DV_IN_INT_PAY	In leg interest Payable	DV_IN_INT_OTLQ	Interestamount(Outleg)
DR	CUSTOMER	CUSTOMER	NET_SET_INC	Net SettlementIncomeon Accrualbasis
CR	NET_-SET_BRIDGE	Net Settlement	NET_SET_INC
CR	CUSTOMER	CUSTOMER	NET_SET_-EXP	Net SettlementExpenseon Accrualbasis
DR	NET_-SET_BRIDGE	Net Settlement	NET_SET_-EXP

Note:

In all the above scenarios, if the in leg and out leg schedules coincide (Settlement on cash and non-cash basis), netting tags (NET_INT_INC and NET_INT_EXP) will be updated. Other amount of tags will not be applicable in this case.

For a non-cash basis, settlements allow the netting and set the accrual to Yes to update the netting tags such as NET_SET_INC, NET_SET_EXP along with other amounts tags mentioned in the above table.